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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity
Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …
Persistent link: https://www.econbiz.de/10011447524
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A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
Smallwood, Aaron D. - In: Econometric reviews 35 (2016) 5/7, pp. 986-1012
Persistent link: https://www.econbiz.de/10011590992
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Testing for a unit root in a nonlinear quantile autoregression framework
Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892
Persistent link: https://www.econbiz.de/10012040418
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The comparison of power and optimization algorithms on unit root testing with smooth transition
Omay, Tolga; Emirmahmutoglu, Furkan - In: Computational economics 49 (2017) 4, pp. 623-651
Persistent link: https://www.econbiz.de/10011762166
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10003952817
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - 2010
Persistent link: https://www.econbiz.de/10008651639
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Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.; Nielsen, Morten Ørregaard - In: Journal of applied econometrics 29 (2014) 1, pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
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Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
Rothe, Christoph (contributor);  … - 2005
In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...
Persistent link: https://www.econbiz.de/10002926863
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Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - In: The econometrics journal 4 (2001) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10001612280